Explain your decisions
There will come a time—very likely in that grocery store—when you'll hear, "But I want both!" That's an opportunity for an educational moment. Just like you can't have both the SUV and the Hybrid, they can't have both kinds of cookies.

And this is how you explain it: "Mom and Dad work hard to earn the money to buy the things we need, but if we are going to have money leftover for the things we really want tomorrow—like our summer vacation, a nice Christmas or Hanukah, and eventually college for you—we can't spend every penny. We have to try hard to buy the things we need (and we do need some cookies to put in your lunchbox), but we also have to try hard not to buy all the things we don't need (and we don't need three different kinds of cookies in one week). So pick the one you like the best, and next week you can pick a different kind."

Understand that limits like these (just like those on R-rated movies and reasonable bedtimes) are good for kids
Harvard Psychologist Dan Kindlon's research has shown that kids who had consistent limits through their lives were less likely as they grew up to use drugs and get depressed than those who were given free reign. You've likely heard that kids want limits. What Kindlon's work shows is that they need them as well.